The best way to fill a water balloon or "grenade" is to fill it with clean tap water. First fill it up with as big as humanely possible, because smaller grenades seem not to pop on contact. Then let all of the air out of grenade, and tie it.

Tying

There are many ways to tie grenades, but these are the two that most of us reccommend.

The first way is to use your index and middle finger to wrap the end around them, twist and tie.

The second way is to twist the end about 10-15 times, then clip with a large paper clip. When thrown, the fastener is removed and water sprays everywhere soaking everyone below it.

Transporting

In my opinion the best way to transport a grenade is to place it in one of those zip lock sandwich bags, that way if it pops while transporting you do not get wet. You can use the water in the bag to drink or to refill your blaster.